Where should Blender Download to?
This is not a question about blender really, you can determine, and should know, where your files download to, it's a setting on your browser. Having said that, blender can be used two ways,

One is installing it using the msi file, in which case it makes  no difference where you downloaded the file to, because once you run the install file it will install to your programs folder. At that point you can safely erase the msi file.

If you choose not to install blender, use the .zip file. You just have to unzip (uncompress) the file and run the blender.exe program from the resulting folder. Just make sure that you don't download and use a temp file that might get erased next time you open the computer.